Level 1 Aggregations
Data descriptions
OHLCV - The open, high, low, and close prices for a given period, alongside the volume traded.
VWAP - The average price of an asset over a specific time period, weighted by the volume of trades. VWAP can be used to gauge market sentiment and momentum shifts. VWAP formula: ∑(Price * Volume) / ∑Volume.
Trade count - The total number of trades from a given period.
Data details
OHLCV
• Rest API
Since 2010
Yes
1s
- 1d
• Snowflake, BigQuery
Since 2010
Data refreshes once a day
Also available in near real-time
1s
- 1d
VWAP
• Stream
72 hours on replay
Yes
Monthly-based
1s
- 1d
Yearly-based
1h
, 4h
, and 1d
• Rest API
Since 2010
Yes
Monthly-based
1s
- 1d
Yearly-based
1h
, 4h
, and 1d
• AWS, Azure, Google Cloud Platform
Since 2010
New CSV once a day
Monthly-based
1s
- 1d
Yearly-based
1h
, 4h
, and 1d
• Snowflake, BigQuery
Since 2010
Data refreshes once a day
Also available in near real-time
Monthly-based
1s
- 1d
Yearly-based
1h
, 4h
, and 1d
Trade count
• REST API
Since 2010
Yes
1s
- 1d
• AWS, Azure, Google Cloud Platform
Since 2010
New CSV once a day
1s
- 1d
• Snowflake, BigQuery
Since 2010
Data refreshes once a day
Also available in near real-time
1s
- 1d
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